Microstructure and Trading Systems

Laboratorio 4

Ivan Lafarga Lizarraga

Noviembre,2022 | Repository: Link

Resumen

Utilizamos estos exchanges para analizar el laboratorio 4 exa = [bitmart, gateio, bitget] y utilizamos los siguentes pares BTC/USDT,BNB/USDT,DODGE/USDT para realizar el estudio de las microestructuras de mercados

import data as dt
import functions as fun
import plotly.express as px

dt.df.head(4)

	Ticker	Exchange	TimeStamp	Level	Bid	Ask	Spread	Bid_Volume	Ask_Volume	Total_volume	Mid_price	VWAP
0	BNB/USDT	BitMart	2022-11-14 06:12	30	268.36	268.54	0.18	0.59	0.15	0.74	268.450	268.450000
1	BNB/USDT	BitMart	2022-11-14 06:12	30	268.35	268.56	0.21	0.61	0.55	1.16	268.455	268.453053
2	BNB/USDT	BitMart	2022-11-14 06:12	30	268.33	268.57	0.24	0.35	0.38	0.73	268.450	268.452205
3	BNB/USDT	BitMart	2022-11-14 06:12	30	268.31	268.58	0.27	0.64	0.38	1.02	268.445	268.450192

spread_data = dt.spread_data
spread_data.tail(4)

	Ticker	Exchange	TimeStamp	Spread	close	Level	Bid	Ask	Bid_Volume	Ask_Volume	Total_volume	Mid_price	VWAP	open	high	low	Volume	Effective Spread
11756	BNB/USDT	Gate.io	2022-11-14 07:12	3.86	277.35	30.0	275.75	279.61	0.0050	0.815100	0.820100	277.680	0.377425	277.35	277.49	277.43	2.1634	0.0
11757	BNB/USDT	Gate.io	2022-11-14 07:12	3.90	277.35	30.0	275.73	279.63	4.3271	1.258900	5.586000	277.680	0.377426	277.35	277.49	277.43	2.1634	0.0
11758	BNB/USDT	Gate.io	2022-11-14 07:12	4.11	277.35	30.0	275.59	279.70	1.4400	0.892700	2.332700	277.645	0.377427	277.35	277.49	277.43	2.1634	0.0
11759	BNB/USDT	Gate.io	2022-11-14 07:12	4.21	277.35	30.0	275.50	279.71	0.0065	0.019261	0.025761	277.605	0.377427	277.35	277.49	277.43	2.1634	0.0

fig=px.line(spread_data[spread_data.Ticker == 'BNB/USDT'], x='TimeStamp', y='Level', color="Exchange",title='Levels')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'BTC/USDT'], x='TimeStamp', y='Level', color="Exchange",title='Levels')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'DODGE/USDT'], x='TimeStamp', y='Level', color="Exchange",title='Levels')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'BNB/USDT'], x='TimeStamp', y='Bid_Volume', color="Exchange",title='Bid Volume')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'BTC/USDT'], x='TimeStamp', y='Bid_Volume', color="Exchange",title='Bid Volume')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'DODGE/USDT'], x='TimeStamp',y='Bid_Volume', color="Exchange",title='Bid Volume')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'BNB/USDT'], x='TimeStamp',y='Ask_Volume', color="Exchange",title='Ask Volume')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'BTC/USDT'], x='TimeStamp',y='Ask_Volume', color="Exchange",title='Ask Volume')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'DODGE/USDT'], x='TimeStamp',y='Ask_Volume', color="Exchange",title='Ask Volume')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'BNB/USDT'], x='TimeStamp',y= 'Total_volume', color="Exchange",title='Total volume')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'BTC/USDT'], x='TimeStamp',y= 'Total_volume', color="Exchange",title='Total volume')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'DODGE/USDT'], x='TimeStamp',y= 'Total_volume', color="Exchange",title='Total volume')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'BNB/USDT'], x='TimeStamp',y= 'Mid_price', color="Exchange",title=' Mid Price ')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'BTC/USDT'], x='TimeStamp',y= 'Mid_price', color="Exchange",title=' Mid Price ')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'DODGE/USDT'], x='TimeStamp',y= 'Mid_price', color="Exchange",title=' Mid Price ')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'BNB/USDT'], x='TimeStamp',y= 'VWAP', color="Exchange",title=' VWAP ')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'BTC/USDT'], x='TimeStamp',y= 'VWAP', color="Exchange",title=' VWAP ')
fig.show()

fig=px.line(spread_data[spread_data.Ticker == 'DODGE/USDT'], x='TimeStamp',y= 'VWAP', color="Exchange",title=' VWAP ')
fig.show()